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CME Term SOFR contracts exist to address this. 1M, 3M, 6M, and 1Y Term SOFR rates are published [1]. A typical 3M LIBOR contract can just substitute it with 3M
by riskneutral 5y ago
CME Term SOFR contracts exist to address this. 1M, 3M, 6M, and 1Y Term SOFR rates are published [1]. A typical 3M LIBOR contract can just substitute it with 3M SOFR without impacting the basic mechanisms, like knowing in advance how much interest you will owe over the next period.
[1] https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr.html# https://www.cmegroup.com/market-data/cme-group-benchmark-adm...